Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0037
Annualized Std Dev 0.2401
Annualized Sharpe (Rf=0%) -0.0154

Row

Daily Return Statistics

Close
Observations 4315.0000
NAs 1.0000
Minimum -0.1703
Quartile 1 -0.0056
Median 0.0009
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0068
Maximum 0.1357
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0151
Skewness -1.0057
Kurtosis 19.5595

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0104
Loss Deviation 0.0135
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0114
Downside Deviation (0%) 0.0114
Maximum Drawdown 0.7834
Historical VaR (95%) -0.0214
Historical ES (95%) -0.0378
Modified VaR (95%) -0.0228
Modified ES (95%) -0.0446
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.7834 3474 444 NA
2004-02-09 2004-05-17 2005-07-27 -0.2165 370 69 301
2006-12-20 2007-03-05 2007-04-16 -0.1102 78 49 29
2005-09-13 2005-10-13 2005-12-05 -0.0741 59 23 36
2006-05-11 2006-06-14 2006-07-31 -0.0687 56 24 32

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 -0.1 0 0.4 -0.2 0.5 0.7 1.3 2.1 0.9 1.3 0.1 0.9 8.1
2005 0.1 0.4 1.2 1.4 0.3 0.6 1 0.5 0.7 1.3 1.4 -0.4 8.7
2006 0.2 1.1 0.4 0.2 0.5 1.4 -0.1 0.1 -2.1 -0.4 0.7 -1.2 0.7
2007 -0.4 0.1 0 -0.7 0 -0.2 -0.7 1.3 0.3 -2.2 1.4 0.8 -0.5
2008 1.8 -2.5 3.6 0.5 -0.4 0.6 0.9 0.2 2.2 2.9 -10.4 5.9 4.3
2009 -3 -2.9 2 1.7 3.6 0.6 2 -2.6 -1.8 -4.2 0.4 -0.4 -4.9
2010 1 1.4 0.8 -1 -0.7 -1.8 1.1 2.5 0.7 0.3 0.4 0.6 5.3
2011 1.5 -0.7 0.8 0.4 -1 0.7 0.8 -0.1 -1.9 -2.7 0.4 0.2 -1.7
2012 0.1 0.8 0.5 -0.3 -3.1 2.3 0 -0.1 0.5 1.3 1.2 1.6 4.9
2013 -0.3 0.9 -0.9 -0.8 -3.1 0.3 0.3 0.8 0.8 0.6 0.5 -0.2 -1.1
2014 -0.7 0 0.7 0.2 0.4 1 -1.8 0.3 -1.4 0.9 -2 -0.7 -3.1
2015 -0.8 0.1 -0.2 0.6 0.3 0.8 0.5 -1.3 0.9 1.6 0.3 -0.4 2.3
2016 0.2 2.7 0.6 -0.4 0.5 0.3 -0.5 0.3 -0.1 -1.3 -0.8 -0.2 1.3
2017 0.6 0.9 -0.1 -0.6 0.8 1.3 -0.2 1.3 1.4 0.9 0.8 0 7.3
2018 -0.7 -1.2 1.1 -0.2 0.2 0.5 0.7 0.1 0.3 1.5 1 -0.3 3
2019 -0.1 0.6 1.1 0.1 -1.1 1.3 -1.1 0.9 -0.9 0.8 -0.5 0.3 1.5
2020 -1.2 -3.6 -7.4 -2.4 2.1 0.1 -0.4 0.3 0.6 -1 0.9 0.9 -10.9
2021 1.7 2.2 -0.1 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-28  20   SPY    113. -0.0114  -0.015    0.0335   0.094     0.321   -0.160  -0.075  <NA>     NA    NA       NA
2 2004-01-29  20.0 SPY    113.  0.001   -0.0115   0.0209   0.0804    0.312   -0.165  -0.0835 <NA>     NA    NA       NA
3 2004-01-30  20   SPY    113.  0       -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
4 2004-02-02  20.0 SPY    114.  0.0043  -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
5 2004-02-03  20   SPY    114. -0.0017  -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
6 2004-02-04  20.1 SPY    113. -0.0082  -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart